UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4861
Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
|
|
Date of reporting period: | December 31, 2013 |
Item 1. Reports to Stockholders
Fidelity® VIP
Investment Grade Central Fund
Annual Report
December 31, 2013
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
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Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2014 FMR LLC. All rights reserved.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
VIGC-ANN-0214 1.831202.107
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended December 31, 2013 | Past 1 | Past 5 | Life of |
Fidelity® VIP Investment Grade Central Fund | -1.46% | 7.16% | 5.86% |
A From June 23, 2006.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® VIP Investment Grade Central Fund on June 23, 2006, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Aggregate Bond Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: The prospect of tighter monetary policy weighed on U.S. taxable investment-grade bonds during the 12-month period ending December 31, 2013, resulting in a -2.02% return for the Barclays® U.S. Aggregate Bond Index. Much of the damage occurred from May through August, as interest rates spiked higher amid signals from the U.S. Federal Reserve that it could begin tapering its stimulative bond-buying programs prior to year-end, prompting waves of investor outflows. Surprisingly strong global economic data also tempered demand for higher-quality, rate-sensitive bonds. The market staged a bit of rebound in September and October because the Fed refrained from tapering. But the period ended on a weak note, when better-than-expected economic news revived the specter of tapering and the Fed announced it would begin to dial back its bond purchases in January 2014. U.S. Treasuries and mortgage-backed securities returned -2.75% and -1.41%, respectively, while government-agency securities returned -1.38%. Investment-grade credit also lost ground, returning -2.01%, due to rising interest rates and investors' intermittent aversion to riskier assets. Thanks largely to their higher yields, commercial mortgage-backed securities fared best, advancing 0.23%.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity® VIP Investment Grade Central Fund: For the year, the fund returned -1.46%, outpacing the Barclays U.S. Aggregate Bond Index. Favorable positioning among investment-grade corporate bonds was beneficial, most notably our larger-than-benchmark exposure to financials, which solidly outpaced the broader credit market. Security selection within industrials, specifically communications, was another plus, with our large overweighting to Verizon providing a significant boost. An overweighting in commercial mortgage-backed securities (CMBS) delivered a meaningful boost to relative performance, as this comparatively high-quality, high-yielding, short-duration segment substantially outperformed the benchmark. Timely purchases of out-of-index municipal bonds issued in California and Illinois were helpful, as the credit outlook for both states meaningfully improved. An underweighting in sovereign bonds, particularly our lack of exposure to bonds issued in Turkey, aided performance. In contrast, yield-curve positioning detracted. As part of our approach to managing the fund's yield-curve exposure, the fund was overweighted in 30-year U.S. Treasuries and shorter-term bonds. This positioning proved detrimental, as the highly interest-rate-sensitive 30-year securities were among the market's worst performers.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2013 to December 31, 2013).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized | Beginning | Ending | Expenses Paid |
Actual | .0022% | $ 1,000.00 | $ 1,008.80 | $ .01 |
HypotheticalA |
| $ 1,000.00 | $ 1,025.19 | $ .01 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Annual Report
Investment Changes (Unaudited)
Quality Diversification (% of fund's net assets) | |||||||
As of December 31, 2013 | As of June 30, 2013 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 4.5% |
| ![]() | AAA 2.6% |
| ||
![]() | AA 2.9% |
| ![]() | AA 2.4% |
| ||
![]() | A 9.4% |
| ![]() | A 9.1% |
| ||
![]() | BBB 23.8% |
| ![]() | BBB 18.4% |
| ||
![]() | BB and Below 2.3% |
| ![]() | BB and Below 2.1% |
| ||
![]() | Not Rated 0.1% |
| ![]() | Not Rated 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of December 31, 2013 | ||
|
| 6 months ago |
Years | 6.8 | 6.4 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of December 31, 2013 | ||
|
| 6 months ago |
Years | 5.3 | 5.3 |
Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration. |
Asset Allocation (% of fund's net assets) | |||||||
As of December 31, 2013* | As of June 30, 2013** | ||||||
![]() | Corporate Bonds 30.5% |
| ![]() | Corporate Bonds 26.5% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other |
| ![]() | CMOs and Other |
| ||
![]() | Municipal Bonds 2.4% |
| ![]() | Municipal Bonds 2.1% |
| ||
![]() | Other Investments 0.7% |
| ![]() | Other Investments 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments 5.1% |
| ** Foreign investments 4.0% |
| ||||
* Futures and Swaps 0.0%† |
| ** Futures and Swaps 0.0%† |
|
† Amount represents less than 0.1% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Annual Report
Investments December 31, 2013
Showing Percentage of Net Assets
Nonconvertible Bonds - 30.5% | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 2.2% | ||||
Automobiles - 0.1% | ||||
Daimler Finance North America LLC 1.45% 8/1/16 (e) | $ 2,724,000 | $ 2,740,039 | ||
Diversified Consumer Services - 0.2% | ||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||
2.875% 1/15/19 (e) | 416,000 | 409,801 | ||
4.25% 6/15/23 (e) | 2,932,000 | 2,859,204 | ||
5.75% 6/15/43 (e) | 2,110,000 | 2,134,468 | ||
| 5,403,473 | |||
Media - 1.9% | ||||
AOL Time Warner, Inc. 7.625% 4/15/31 | 1,625,000 | 2,051,514 | ||
Comcast Corp.: | ||||
4.65% 7/15/42 | 5,434,000 | 5,038,905 | ||
4.95% 6/15/16 | 2,975,000 | 3,248,286 | ||
6.4% 3/1/40 | 2,058,000 | 2,367,151 | ||
6.45% 3/15/37 | 1,410,000 | 1,631,474 | ||
COX Communications, Inc. 3.25% 12/15/22 (e) | 1,609,000 | 1,453,691 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19 | 4,711,000 | 5,333,502 | ||
Discovery Communications LLC: | ||||
3.25% 4/1/23 | 604,000 | 560,112 | ||
4.875% 4/1/43 | 1,416,000 | 1,301,688 | ||
6.35% 6/1/40 | 2,421,000 | 2,670,288 | ||
NBCUniversal, Inc.: | ||||
5.15% 4/30/20 | 3,234,000 | 3,610,748 | ||
6.4% 4/30/40 | 3,340,000 | 3,827,587 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 3,169,000 | 3,991,581 | ||
News America, Inc.: | ||||
6.15% 3/1/37 | 2,331,000 | 2,554,314 | ||
6.15% 2/15/41 | 1,822,000 | 2,024,091 | ||
Thomson Reuters Corp. 1.3% 2/23/17 | 1,374,000 | 1,367,827 | ||
Time Warner Cable, Inc.: | ||||
4% 9/1/21 | 5,937,000 | 5,506,692 | ||
4.5% 9/15/42 | 8,550,000 | 6,455,857 | ||
5.5% 9/1/41 | 1,944,000 | 1,605,995 | ||
5.85% 5/1/17 | 1,239,000 | 1,350,899 | ||
5.875% 11/15/40 | 1,806,000 | 1,557,726 | ||
6.75% 7/1/18 | 4,425,000 | 4,960,120 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 5,514,000 | 6,220,299 | ||
6.5% 11/15/36 | 2,337,000 | 2,632,801 | ||
Viacom, Inc.: | ||||
2.5% 9/1/18 | 546,000 | 550,123 | ||
| ||||
| Principal Amount | Value | ||
3.5% 4/1/17 | $ 1,312,000 | $ 1,386,314 | ||
4.375% 3/15/43 | 1,321,000 | 1,111,447 | ||
| 76,371,032 | |||
TOTAL CONSUMER DISCRETIONARY | 84,514,544 | |||
CONSUMER STAPLES - 1.5% | ||||
Beverages - 0.3% | ||||
Beam, Inc. 1.75% 6/15/18 | 2,229,000 | 2,171,162 | ||
Heineken NV: | ||||
1.4% 10/1/17 (e) | 2,178,000 | 2,135,882 | ||
2.75% 4/1/23 (e) | 2,276,000 | 2,035,561 | ||
SABMiller Holdings, Inc. 3.75% 1/15/22 (e) | 3,034,000 | 3,041,015 | ||
| 9,383,620 | |||
Food & Staples Retailing - 0.2% | ||||
CVS Caremark Corp.: | ||||
1.2% 12/5/16 | 1,469,000 | 1,470,378 | ||
2.25% 12/5/18 | 3,097,000 | 3,094,439 | ||
4% 12/5/23 | 3,097,000 | 3,085,300 | ||
| 7,650,117 | |||
Food Products - 0.2% | ||||
ConAgra Foods, Inc.: | ||||
1.9% 1/25/18 | 1,554,000 | 1,524,824 | ||
3.2% 1/25/23 | 1,807,000 | 1,675,011 | ||
4.65% 1/25/43 | 978,000 | 895,293 | ||
General Mills, Inc. 5.2% 3/17/15 | 3,528,000 | 3,719,810 | ||
| 7,814,938 | |||
Tobacco - 0.8% | ||||
Altria Group, Inc.: | ||||
2.85% 8/9/22 | 2,952,000 | 2,713,791 | ||
4% 1/31/24 | 2,394,000 | 2,335,993 | ||
4.25% 8/9/42 | 2,952,000 | 2,510,227 | ||
4.75% 5/5/21 | 4,000,000 | 4,287,172 | ||
5.375% 1/31/44 | 4,099,000 | 4,101,660 | ||
9.7% 11/10/18 | 2,242,000 | 2,945,486 | ||
Philip Morris International, Inc. 5.65% 5/16/18 | 2,751,000 | 3,158,148 | ||
Reynolds American, Inc.: | ||||
3.25% 11/1/22 | 2,224,000 | 2,046,732 | ||
4.75% 11/1/42 | 3,437,000 | 3,044,312 | ||
6.15% 9/15/43 | 1,680,000 | 1,808,152 | ||
7.25% 6/15/37 | 2,962,000 | 3,458,594 | ||
| 32,410,267 | |||
TOTAL CONSUMER STAPLES | 57,258,942 | |||
ENERGY - 3.9% | ||||
Energy Equipment & Services - 0.4% | ||||
DCP Midstream LLC: | ||||
4.75% 9/30/21 (e) | 3,739,000 | 3,732,438 | ||
5.35% 3/15/20 (e) | 3,724,000 | 3,887,957 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
El Paso Pipeline Partners Operating Co. LLC: | ||||
4.1% 11/15/15 | $ 3,902,000 | $ 4,103,995 | ||
5% 10/1/21 | 1,517,000 | 1,586,740 | ||
Transocean, Inc. 5.05% 12/15/16 | 2,488,000 | 2,748,215 | ||
| 16,059,345 | |||
Oil, Gas & Consumable Fuels - 3.5% | ||||
Anadarko Petroleum Corp. 6.375% 9/15/17 | 6,869,000 | 7,883,036 | ||
Apache Corp. 4.75% 4/15/43 | 2,750,000 | 2,657,674 | ||
Chevron Corp. 2.427% 6/24/20 | 2,041,000 | 1,983,705 | ||
ConocoPhillips Co. 5.75% 2/1/19 | 3,900,000 | 4,501,290 | ||
DCP Midstream Operating LP: | ||||
2.5% 12/1/17 | 1,990,000 | 1,980,591 | ||
3.875% 3/15/23 | 1,228,000 | 1,129,066 | ||
Devon Energy Corp. 1.2% 12/15/16 | 4,495,000 | 4,492,766 | ||
Duke Energy Field Services 6.45% 11/3/36 (e) | 2,477,000 | 2,515,874 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 3,330,000 | 3,701,218 | ||
Enbridge Energy Partners LP 4.2% 9/15/21 | 4,399,000 | 4,419,979 | ||
Encana Holdings Finance Corp. 5.8% 5/1/14 | 320,000 | 325,525 | ||
Marathon Petroleum Corp. 5.125% 3/1/21 | 2,187,000 | 2,366,179 | ||
Motiva Enterprises LLC 5.75% 1/15/20 (e) | 1,496,000 | 1,697,083 | ||
Nakilat, Inc. 6.067% 12/31/33 (e) | 1,808,000 | 1,889,360 | ||
Petro-Canada 6.05% 5/15/18 | 1,480,000 | 1,704,775 | ||
Petrobras Global Finance BV: | ||||
3% 1/15/19 | 714,000 | 668,184 | ||
4.375% 5/20/23 | 7,020,000 | 6,223,230 | ||
5.625% 5/20/43 | 6,681,000 | 5,453,780 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 3,612,000 | 3,718,417 | ||
5.375% 1/27/21 | 9,195,000 | 9,125,008 | ||
5.75% 1/20/20 | 6,461,000 | 6,647,975 | ||
7.875% 3/15/19 | 4,277,000 | 4,844,738 | ||
Petroleos Mexicanos: | ||||
3.5% 7/18/18 | 5,440,000 | 5,582,800 | ||
3.5% 1/30/23 | 3,410,000 | 3,124,413 | ||
4.875% 1/24/22 | 3,398,000 | 3,488,047 | ||
5.5% 1/21/21 | 3,601,000 | 3,874,676 | ||
5.5% 6/27/44 | 7,799,000 | 7,116,588 | ||
6.5% 6/2/41 | 7,675,000 | 8,020,375 | ||
Phillips 66 Co.: | ||||
4.3% 4/1/22 | 3,770,000 | 3,825,709 | ||
5.875% 5/1/42 | 1,819,000 | 1,966,195 | ||
| ||||
| Principal Amount | Value | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.65% 6/1/22 | $ 1,784,000 | $ 1,750,188 | ||
6.125% 1/15/17 | 1,250,000 | 1,405,035 | ||
Spectra Energy Capital, LLC 3.3% 3/15/23 | 5,000,000 | 4,421,060 | ||
Spectra Energy Partners, LP: | ||||
2.95% 6/15/16 | 668,000 | 693,387 | ||
2.95% 9/25/18 | 733,000 | 742,615 | ||
4.6% 6/15/21 | 873,000 | 903,806 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 4,665,000 | 5,390,100 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 615,000 | 685,957 | ||
Western Gas Partners LP 5.375% 6/1/21 | 3,820,000 | 4,087,362 | ||
| 137,007,766 | |||
TOTAL ENERGY | 153,067,111 | |||
FINANCIALS - 15.0% | ||||
Capital Markets - 1.4% | ||||
Goldman Sachs Group, Inc.: | ||||
2.9% 7/19/18 | 6,251,000 | 6,358,361 | ||
5.25% 7/27/21 | 1,125,000 | 1,230,109 | ||
5.625% 1/15/17 | 3,000,000 | 3,304,740 | ||
5.95% 1/18/18 | 755,000 | 858,027 | ||
6.15% 4/1/18 | 5,954,000 | 6,824,326 | ||
Lazard Group LLC: | ||||
4.25% 11/14/20 | 2,080,000 | 2,073,088 | ||
6.85% 6/15/17 | 3,241,000 | 3,652,931 | ||
Morgan Stanley: | ||||
2.125% 4/25/18 | 4,257,000 | 4,218,287 | ||
3.75% 2/25/23 | 6,489,000 | 6,304,310 | ||
4.875% 11/1/22 | 4,345,000 | 4,441,294 | ||
5% 11/24/25 | 1,047,000 | 1,048,216 | ||
5.75% 1/25/21 | 1,751,000 | 1,978,455 | ||
6.625% 4/1/18 | 10,165,000 | 11,888,832 | ||
| 54,180,976 | |||
Commercial Banks - 2.6% | ||||
Bank of America NA 5.3% 3/15/17 | 3,403,000 | 3,749,575 | ||
Credit Suisse AG 6% 2/15/18 | 6,486,000 | 7,506,832 | ||
Discover Bank: | ||||
4.2% 8/8/23 | 2,849,000 | 2,805,493 | ||
7% 4/15/20 | 2,309,000 | 2,682,483 | ||
8.7% 11/18/19 | 1,503,000 | 1,878,637 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 1,179,000 | 1,256,671 | ||
8.25% 3/1/38 | 4,319,000 | 5,733,974 | ||
HBOS PLC 6.75% 5/21/18 (e) | 2,600,000 | 2,939,625 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 1,004,000 | 1,162,997 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
KeyBank NA: | ||||
5.45% 3/3/16 | $ 1,618,000 | $ 1,760,711 | ||
5.8% 7/1/14 | 2,049,000 | 2,101,895 | ||
6.95% 2/1/28 | 800,000 | 947,659 | ||
Marshall & Ilsley Bank: | ||||
4.85% 6/16/15 | 1,796,000 | 1,891,389 | ||
5% 1/17/17 | 4,952,000 | 5,352,256 | ||
Regions Bank: | ||||
6.45% 6/26/37 | 7,720,000 | 8,156,180 | ||
7.5% 5/15/18 | 6,153,000 | 7,280,759 | ||
Regions Financial Corp.: | ||||
2% 5/15/18 | 4,497,000 | 4,352,412 | ||
5.75% 6/15/15 | 814,000 | 867,337 | ||
7.75% 11/10/14 | 2,367,000 | 2,497,308 | ||
Royal Bank of Scotland Group PLC: | ||||
6% 12/19/23 | 5,383,000 | 5,421,327 | ||
6.1% 6/10/23 | 5,485,000 | 5,521,344 | ||
6.125% 12/15/22 | 8,239,000 | 8,408,443 | ||
Wells Fargo & Co.: | ||||
1.25% 7/20/16 | 14,500,000 | 14,606,575 | ||
3.676% 6/15/16 | 1,714,000 | 1,824,856 | ||
| 100,706,738 | |||
Consumer Finance - 1.2% | ||||
American Express Credit Corp. 1.3% 7/29/16 | 4,207,000 | 4,239,263 | ||
Discover Financial Services 3.85% 11/21/22 | 5,040,000 | 4,771,524 | ||
Ford Motor Credit Co. LLC: | ||||
1.5% 1/17/17 | 2,686,000 | 2,684,582 | ||
1.7% 5/9/16 | 6,586,000 | 6,660,942 | ||
2.875% 10/1/18 | 4,500,000 | 4,603,824 | ||
General Electric Capital Corp.: | ||||
1% 12/11/15 | 3,432,000 | 3,459,494 | ||
2.95% 5/9/16 | 774,000 | 810,306 | ||
3.5% 6/29/15 | 799,000 | 833,856 | ||
5.625% 5/1/18 | 9,700,000 | 11,134,155 | ||
HSBC U.S.A., Inc. 1.625% 1/16/18 | 3,721,000 | 3,667,473 | ||
Hyundai Capital America: | ||||
1.625% 10/2/15 (e) | 1,373,000 | 1,379,872 | ||
1.875% 8/9/16 (e) | 1,083,000 | 1,086,849 | ||
2.125% 10/2/17 (e) | 1,518,000 | 1,506,998 | ||
2.875% 8/9/18 (e) | 1,921,000 | 1,927,339 | ||
| 48,766,477 | |||
Diversified Financial Services - 3.0% | ||||
Bank of America Corp.: | ||||
2.6% 1/15/19 | 5,065,000 | 5,084,602 | ||
3.3% 1/11/23 | 12,978,000 | 12,261,303 | ||
3.875% 3/22/17 | 3,077,000 | 3,282,984 | ||
| ||||
| Principal Amount | Value | ||
4.1% 7/24/23 | $ 4,166,000 | $ 4,176,940 | ||
5.75% 12/1/17 | 12,290,000 | 13,981,669 | ||
6.5% 8/1/16 | 3,000,000 | 3,387,045 | ||
BP Capital Markets PLC 4.742% 3/11/21 | 3,000,000 | 3,277,467 | ||
Citigroup, Inc.: | ||||
1.3% 11/15/16 | 6,383,000 | 6,360,251 | ||
3.375% 3/1/23 | 2,800,000 | 2,657,203 | ||
3.953% 6/15/16 | 3,838,000 | 4,082,999 | ||
4.05% 7/30/22 | 1,800,000 | 1,777,324 | ||
4.75% 5/19/15 | 4,790,000 | 5,040,287 | ||
5.5% 9/13/25 | 1,663,000 | 1,748,428 | ||
6.125% 5/15/18 | 1,159,000 | 1,340,694 | ||
Five Corners Funding Trust 4.419% 11/15/23 (e) | 4,110,000 | 4,044,746 | ||
JPMorgan Chase & Co.: | ||||
1.625% 5/15/18 | 8,510,000 | 8,328,958 | ||
2% 8/15/17 | 5,000,000 | 5,069,730 | ||
3.15% 7/5/16 | 4,200,000 | 4,402,919 | ||
3.25% 9/23/22 | 5,719,000 | 5,472,214 | ||
4.35% 8/15/21 | 4,371,000 | 4,600,556 | ||
4.5% 1/24/22 | 6,648,000 | 7,022,043 | ||
6.3% 4/23/19 | 3,920,000 | 4,624,138 | ||
RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (e) | 4,259,000 | 4,114,322 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 1,075,000 | 1,139,730 | ||
5.15% 3/15/20 | 1,545,000 | 1,692,543 | ||
| 118,971,095 | |||
Insurance - 2.3% | ||||
Allstate Corp. 6.2% 5/16/14 | 2,709,000 | 2,766,152 | ||
American International Group, Inc.: | ||||
4.875% 9/15/16 | 2,638,000 | 2,897,186 | ||
4.875% 6/1/22 | 1,252,000 | 1,343,765 | ||
5.6% 10/18/16 | 3,756,000 | 4,184,451 | ||
Aon Corp.: | ||||
3.125% 5/27/16 | 3,681,000 | 3,838,565 | ||
3.5% 9/30/15 | 1,538,000 | 1,605,192 | ||
5% 9/30/20 | 1,402,000 | 1,538,162 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 420,000 | 438,824 | ||
Hartford Financial Services Group, Inc. 5.125% 4/15/22 | 4,644,000 | 5,051,246 | ||
Liberty Mutual Group, Inc. 5% 6/1/21 (e) | 4,093,000 | 4,287,241 | ||
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 2,278,000 | 2,425,355 | ||
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (e) | 2,110,000 | 2,173,963 | ||
MetLife, Inc.: | ||||
3.048% 12/15/22 | 3,731,000 | 3,473,915 | ||
4.368% 9/15/23 (h) | 3,574,000 | 3,642,735 | ||
4.75% 2/8/21 | 1,477,000 | 1,594,377 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Insurance - continued | ||||
MetLife, Inc.: - continued | ||||
6.75% 6/1/16 | $ 3,234,000 | $ 3,676,935 | ||
Metropolitan Life Global Funding I: | ||||
3% 1/10/23 (e) | 2,636,000 | 2,452,031 | ||
5.125% 6/10/14 (e) | 2,884,000 | 2,943,756 | ||
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (e) | 2,214,000 | 2,479,423 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (e) | 2,297,000 | 3,181,044 | ||
Pacific LifeCorp: | ||||
5.125% 1/30/43 (e) | 5,252,000 | 4,812,607 | ||
6% 2/10/20 (e) | 4,627,000 | 5,156,278 | ||
Prudential Financial, Inc.: | ||||
2.3% 8/15/18 | 599,000 | 595,153 | ||
4.5% 11/16/21 | 2,157,000 | 2,292,533 | ||
5.8% 11/16/41 | 2,824,000 | 3,116,917 | ||
6.2% 11/15/40 | 1,297,000 | 1,483,869 | ||
7.375% 6/15/19 | 1,250,000 | 1,533,789 | ||
Symetra Financial Corp. 6.125% 4/1/16 (e) | 6,355,000 | 6,764,472 | ||
Unum Group: | ||||
5.625% 9/15/20 | 2,889,000 | 3,163,114 | ||
5.75% 8/15/42 | 5,234,000 | 5,331,174 | ||
| 90,244,224 | |||
Real Estate Investment Trusts - 1.7% | ||||
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 | 1,200,000 | 1,205,855 | ||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 1,184,000 | 1,097,036 | ||
AvalonBay Communities, Inc.: | ||||
3.625% 10/1/20 | 1,872,000 | 1,890,267 | ||
4.2% 12/15/23 | 4,000,000 | 3,965,816 | ||
Boston Properties, Inc. 3.85% 2/1/23 | 4,708,000 | 4,592,800 | ||
BRE Properties, Inc. 5.5% 3/15/17 | 670,000 | 734,719 | ||
Camden Property Trust: | ||||
2.95% 12/15/22 | 1,607,000 | 1,449,856 | ||
4.25% 1/15/24 | 3,408,000 | 3,364,439 | ||
DDR Corp. 4.625% 7/15/22 | 2,855,000 | 2,907,949 | ||
Developers Diversified Realty Corp.: | ||||
4.75% 4/15/18 | 3,691,000 | 3,979,832 | ||
7.5% 4/1/17 | 1,944,000 | 2,264,986 | ||
9.625% 3/15/16 | 1,253,000 | 1,468,948 | ||
Duke Realty LP: | ||||
3.625% 4/15/23 | 2,123,000 | 1,956,361 | ||
3.875% 10/15/22 | 3,512,000 | 3,332,870 | ||
4.375% 6/15/22 | 2,340,000 | 2,316,020 | ||
5.5% 3/1/16 | 1,270,000 | 1,374,284 | ||
5.95% 2/15/17 | 928,000 | 1,032,314 | ||
6.5% 1/15/18 | 2,445,000 | 2,792,980 | ||
| ||||
| Principal Amount | Value | ||
Equity One, Inc.: | ||||
3.75% 11/15/22 | $ 5,500,000 | $ 5,152,466 | ||
5.375% 10/15/15 | 455,000 | 488,544 | ||
6% 9/15/17 | 2,405,000 | 2,691,777 | ||
Federal Realty Investment Trust 5.9% 4/1/20 | 1,046,000 | 1,199,784 | ||
HCP, Inc. 3.75% 2/1/16 | 2,272,000 | 2,387,299 | ||
Health Care REIT, Inc.: | ||||
2.25% 3/15/18 | 1,731,000 | 1,710,569 | ||
4.7% 9/15/17 | 568,000 | 617,171 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 1,155,000 | 1,204,701 | ||
6.25% 6/15/17 | 3,000,000 | 3,217,377 | ||
Retail Opportunity Investments Partnership LP 5% 12/15/23 | 737,000 | 732,616 | ||
UDR, Inc. 5.5% 4/1/14 | 3,685,000 | 3,725,852 | ||
United Dominion Realty Trust, Inc. 5.25% 1/15/15 | 904,000 | 941,637 | ||
Weingarten Realty Investors 3.375% 10/15/22 | 812,000 | 744,841 | ||
| 66,541,966 | |||
Real Estate Management & Development - 2.8% | ||||
BioMed Realty LP: | ||||
3.85% 4/15/16 | 3,700,000 | 3,863,170 | ||
4.25% 7/15/22 | 1,842,000 | 1,765,948 | ||
6.125% 4/15/20 | 1,392,000 | 1,524,354 | ||
Brandywine Operating Partnership LP: | ||||
3.95% 2/15/23 | 4,271,000 | 3,997,400 | ||
4.95% 4/15/18 | 2,312,000 | 2,485,331 | ||
5.7% 5/1/17 | 5,000,000 | 5,499,645 | ||
6% 4/1/16 | 1,005,000 | 1,095,847 | ||
7.5% 5/15/15 | 523,000 | 568,015 | ||
Digital Realty Trust LP: | ||||
4.5% 7/15/15 | 1,829,000 | 1,902,467 | ||
5.25% 3/15/21 | 1,953,000 | 1,990,785 | ||
ERP Operating LP: | ||||
4.625% 12/15/21 | 5,595,000 | 5,890,735 | ||
4.75% 7/15/20 | 2,827,000 | 3,044,410 | ||
5.375% 8/1/16 | 1,066,000 | 1,175,268 | ||
5.75% 6/15/17 | 5,343,000 | 5,996,834 | ||
Liberty Property LP: | ||||
3.375% 6/15/23 | 2,202,000 | 2,000,854 | ||
4.125% 6/15/22 | 2,007,000 | 1,972,602 | ||
4.4% 2/15/24 | 4,876,000 | 4,779,850 | ||
4.75% 10/1/20 | 4,185,000 | 4,393,116 | ||
5.5% 12/15/16 | 2,290,000 | 2,527,675 | ||
6.625% 10/1/17 | 2,673,000 | 3,059,751 | ||
Mack-Cali Realty LP: | ||||
2.5% 12/15/17 | 2,995,000 | 2,961,854 | ||
3.15% 5/15/23 | 4,988,000 | 4,322,576 | ||
4.5% 4/18/22 | 1,218,000 | 1,195,119 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Mid-America Apartments LP: | ||||
4.3% 10/15/23 | $ 831,000 | $ 806,624 | ||
5.5% 10/1/15 (e) | 6,290,000 | 6,768,612 | ||
Post Apartment Homes LP 3.375% 12/1/22 | 790,000 | 726,621 | ||
Prime Property Funding, Inc. 5.125% 6/1/15 (e) | 3,844,000 | 4,027,636 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 4,360,000 | 4,724,160 | ||
Regency Centers LP: | ||||
5.25% 8/1/15 | 1,468,000 | 1,558,636 | ||
5.875% 6/15/17 | 2,430,000 | 2,708,155 | ||
Simon Property Group LP: | ||||
2.75% 2/1/23 | 2,705,000 | 2,467,828 | ||
2.8% 1/30/17 | 857,000 | 886,123 | ||
4.125% 12/1/21 | 2,399,000 | 2,478,424 | ||
5.1% 6/15/15 | 2,220,000 | 2,364,211 | ||
Tanger Properties LP: | ||||
3.875% 12/1/23 | 1,792,000 | 1,724,501 | ||
6.125% 6/1/20 | 4,876,000 | 5,582,206 | ||
Ventas Realty LP 1.55% 9/26/16 | 2,853,000 | 2,873,037 | ||
Ventas Realty LP/Ventas Capital Corp.: | ||||
2% 2/15/18 | 2,696,000 | 2,648,979 | ||
4% 4/30/19 | 1,357,000 | 1,425,159 | ||
| 111,784,518 | |||
TOTAL FINANCIALS | 591,195,994 | |||
HEALTH CARE - 1.1% | ||||
Biotechnology - 0.1% | ||||
Amgen, Inc. 5.15% 11/15/41 | 4,000,000 | 3,971,456 | ||
Health Care Providers & Services - 0.5% | ||||
Aetna, Inc. 2.75% 11/15/22 | 2,118,000 | 1,947,901 | ||
Express Scripts Holding Co. 4.75% 11/15/21 | 3,953,000 | 4,171,364 | ||
Express Scripts, Inc. 3.125% 5/15/16 | 3,450,000 | 3,600,589 | ||
Medco Health Solutions, Inc. 4.125% 9/15/20 | 2,723,000 | 2,816,127 | ||
UnitedHealth Group, Inc.: | ||||
2.75% 2/15/23 | 708,000 | 647,232 | ||
2.875% 3/15/23 | 5,473,000 | 5,084,357 | ||
WellPoint, Inc. 3.3% 1/15/23 | 1,974,000 | 1,839,265 | ||
| 20,106,835 | |||
Life Sciences Tools & Services - 0.1% | ||||
Thermo Fisher Scientific, Inc.: | ||||
1.3% 2/1/17 | 1,129,000 | 1,124,003 | ||
2.4% 2/1/19 | 712,000 | 704,985 | ||
| ||||
| Principal Amount | Value | ||
4.15% 2/1/24 | $ 1,093,000 | $ 1,080,803 | ||
5.3% 2/1/44 | 455,000 | 458,466 | ||
| 3,368,257 | |||
Pharmaceuticals - 0.4% | ||||
AbbVie, Inc.: | ||||
1.75% 11/6/17 | 4,266,000 | 4,256,871 | ||
2.9% 11/6/22 | 4,376,000 | 4,083,613 | ||
Mylan, Inc. 1.35% 11/29/16 | 1,345,000 | 1,342,432 | ||
Perrigo Co. Ltd.: | ||||
1.3% 11/8/16 (e) | 1,103,000 | 1,099,094 | ||
2.3% 11/8/18 (e) | 1,180,000 | 1,164,079 | ||
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 1,428,000 | 1,412,520 | ||
Zoetis, Inc.: | ||||
1.875% 2/1/18 | 676,000 | 670,142 | ||
3.25% 2/1/23 | 1,649,000 | 1,540,476 | ||
4.7% 2/1/43 | 1,654,000 | 1,540,398 | ||
| 17,109,625 | |||
TOTAL HEALTH CARE | 44,556,173 | |||
INDUSTRIALS - 0.4% | ||||
Airlines - 0.2% | ||||
Continental Airlines, Inc.: | ||||
6.648% 3/15/19 | 878,194 | 923,202 | ||
6.795% 2/2/20 | 1,084,707 | 1,152,501 | ||
Northwest Airlines, Inc. pass-thru trust certificates 7.027% 11/1/19 | 2,509,981 | 2,786,079 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 1/30/18 | 774,291 | 809,135 | ||
8.36% 1/20/19 | 3,284,794 | 3,621,485 | ||
| 9,292,402 | |||
Industrial Conglomerates - 0.2% | ||||
General Electric Co. 5.25% 12/6/17 | 7,130,000 | 8,067,395 | ||
TOTAL INDUSTRIALS | 17,359,797 | |||
INFORMATION TECHNOLOGY - 0.1% | ||||
Computers & Peripherals - 0.1% | ||||
Apple, Inc. 3.85% 5/4/43 | 5,454,000 | 4,539,070 | ||
Electronic Equipment & Components - 0.0% | ||||
Tyco Electronics Group SA 2.375% 12/17/18 | 832,000 | 819,985 | ||
TOTAL INFORMATION TECHNOLOGY | 5,359,055 | |||
MATERIALS - 0.8% | ||||
Chemicals - 0.2% | ||||
The Dow Chemical Co.: | ||||
4.125% 11/15/21 | 3,587,000 | 3,700,299 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
MATERIALS - continued | ||||
Chemicals - continued | ||||
The Dow Chemical Co.: - continued | ||||
4.25% 11/15/20 | $ 1,931,000 | $ 2,054,271 | ||
4.375% 11/15/42 | 1,579,000 | 1,381,415 | ||
| 7,135,985 | |||
Metals & Mining - 0.6% | ||||
Anglo American Capital PLC 9.375% 4/8/14 (e) | 2,675,000 | 2,734,294 | ||
Corporacion Nacional del Cobre de Chile (Codelco): | ||||
3.875% 11/3/21 (e) | 3,750,000 | 3,667,781 | ||
4.5% 8/13/23 (e) | 5,000,000 | 4,968,500 | ||
5.625% 10/18/43 (e) | 2,882,000 | 2,832,709 | ||
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18 | 4,174,000 | 4,151,168 | ||
Vale Overseas Ltd.: | ||||
4.375% 1/11/22 | 3,818,000 | 3,704,464 | ||
6.25% 1/23/17 | 3,115,000 | 3,453,840 | ||
| 25,512,756 | |||
TOTAL MATERIALS | 32,648,741 | |||
TELECOMMUNICATION SERVICES - 2.0% | ||||
Diversified Telecommunication Services - 1.8% | ||||
AT&T, Inc.: | ||||
4.35% 6/15/45 | 11,574,000 | 9,762,333 | ||
5.55% 8/15/41 | 8,621,000 | 8,720,167 | ||
6.3% 1/15/38 | 364,000 | 401,099 | ||
CenturyLink, Inc.: | ||||
5.15% 6/15/17 | 330,000 | 353,925 | ||
6% 4/1/17 | 825,000 | 909,563 | ||
6.15% 9/15/19 | 2,305,000 | 2,431,775 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 2,793,000 | 3,120,708 | ||
7.995% 6/1/36 | 1,808,000 | 1,826,028 | ||
Verizon Communications, Inc.: | ||||
3.85% 11/1/42 | 1,284,000 | 1,044,858 | ||
6.1% 4/15/18 | 2,190,000 | 2,542,314 | ||
6.25% 4/1/37 | 1,380,000 | 1,524,705 | ||
6.4% 9/15/33 | 4,059,000 | 4,655,515 | ||
6.55% 9/15/43 | 29,145,000 | 33,985,343 | ||
| 71,278,333 | |||
Wireless Telecommunication Services - 0.2% | ||||
America Movil S.A.B. de CV: | ||||
2.375% 9/8/16 | 5,411,000 | 5,568,449 | ||
3.125% 7/16/22 | 2,875,000 | 2,650,046 | ||
| 8,218,495 | |||
TOTAL TELECOMMUNICATION SERVICES | 79,496,828 | |||
| ||||
| Principal Amount | Value | ||
UTILITIES - 3.5% | ||||
Electric Utilities - 1.9% | ||||
AmerenUE 6.4% 6/15/17 | $ 3,819,000 | $ 4,376,753 | ||
American Electric Power Co., Inc.: | ||||
1.65% 12/15/17 | 1,748,000 | 1,711,961 | ||
2.95% 12/15/22 | 1,655,000 | 1,528,116 | ||
Dayton Power & Light Co. 1.875% 9/15/16 (e) | 1,393,000 | 1,404,282 | ||
Duke Energy Corp. 3.95% 10/15/23 | 620,000 | 619,155 | ||
Duquesne Light Holdings, Inc.: | ||||
5.9% 12/1/21 (e) | 2,664,000 | 2,923,522 | ||
6.4% 9/15/20 (e) | 6,054,000 | 6,916,828 | ||
Edison International 3.75% 9/15/17 | 2,401,000 | 2,515,242 | ||
FirstEnergy Corp.: | ||||
2.75% 3/15/18 | 3,523,000 | 3,460,019 | ||
4.25% 3/15/23 | 6,228,000 | 5,796,574 | ||
7.375% 11/15/31 | 5,538,000 | 6,003,148 | ||
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 7,286,000 | 7,776,457 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 | 2,670,000 | 2,716,738 | ||
3.75% 11/15/20 | 525,000 | 530,492 | ||
Monongahela Power Co.: | ||||
4.1% 4/15/24 (e) | 1,477,000 | 1,473,779 | ||
5.4% 12/15/43 (e) | 2,245,000 | 2,323,600 | ||
Nevada Power Co. 6.5% 5/15/18 | 3,165,000 | 3,728,905 | ||
Northeast Utilities: | ||||
1.45% 5/1/18 | 1,125,000 | 1,089,084 | ||
2.8% 5/1/23 | 5,110,000 | 4,663,938 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 2,905,000 | 3,236,838 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 2,535,000 | 2,599,366 | ||
PPL Capital Funding, Inc. 3.4% 6/1/23 | 2,425,000 | 2,252,786 | ||
Progress Energy, Inc.: | ||||
4.4% 1/15/21 | 4,274,000 | 4,504,766 | ||
5.625% 1/15/16 | 2,000,000 | 2,176,934 | ||
| 76,329,283 | |||
Gas Utilities - 0.0% | ||||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 1,182,000 | 1,209,398 | ||
Independent Power Producers & Energy Traders - 0.1% | ||||
PPL Energy Supply LLC: | ||||
6.2% 5/15/16 | 1,229,000 | 1,351,687 | ||
6.5% 5/1/18 | 1,554,000 | 1,727,902 | ||
PSEG Power LLC 2.75% 9/15/16 | 919,000 | 951,571 | ||
| 4,031,160 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Multi-Utilities - 1.5% | ||||
Ameren Illinois Co. 6.125% 11/15/17 | $ 1,465,000 | $ 1,678,288 | ||
Dominion Resources, Inc. 2.5469% 9/30/66 (h) | 13,401,000 | 12,486,663 | ||
MidAmerican Energy Holdings, Co.: | ||||
1.1% 5/15/17 (e) | 5,903,000 | 5,870,551 | ||
2% 11/15/18 (e) | 4,545,000 | 4,472,662 | ||
6.5% 9/15/37 | 1,334,000 | 1,544,832 | ||
National Grid PLC 6.3% 8/1/16 | 4,181,000 | 4,701,580 | ||
NiSource Finance Corp.: | ||||
4.45% 12/1/21 | 1,622,000 | 1,641,313 | ||
5.25% 2/15/43 | 4,094,000 | 3,965,195 | ||
5.4% 7/15/14 | 3,885,000 | 3,980,524 | ||
5.45% 9/15/20 | 613,000 | 680,858 | ||
5.8% 2/1/42 | 2,085,000 | 2,161,567 | ||
5.95% 6/15/41 | 3,834,000 | 3,982,142 | ||
6.4% 3/15/18 | 2,760,000 | 3,174,889 | ||
Sempra Energy: | ||||
2.3% 4/1/17 | 4,185,000 | 4,237,681 | ||
2.875% 10/1/22 | 1,723,000 | 1,583,938 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (h) | 1,426,000 | 1,470,563 | ||
| 57,633,246 | |||
TOTAL UTILITIES | 139,203,087 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $1,167,293,539) |
| |||
U.S. Treasury Obligations - 30.6% | ||||
| ||||
U.S. Treasury Bonds: | ||||
3.125% 2/15/43 (l) | 11,922,000 | 10,163,505 | ||
3.625% 8/15/43 | 57,435,000 | 54,015,837 | ||
3.75% 11/15/43 | 428,000 | 412,017 | ||
U.S. Treasury Notes: | ||||
0.25% 8/15/15 | 20,500,000 | 20,491,985 | ||
0.5% 7/31/17 | 5,745,000 | 5,622,471 | ||
0.625% 12/15/16 (d) | 132,726,000 | 132,176,382 | ||
0.875% 11/30/16 | 28,809,000 | 28,899,028 | ||
0.875% 1/31/17 | 2,343,000 | 2,345,198 | ||
0.875% 4/30/17 | 695,000 | 692,828 | ||
0.875% 1/31/18 | 63,538,000 | 62,301,995 | ||
1% 3/31/17 | 27,344,000 | 27,403,829 | ||
1% 5/31/18 | 69,810,000 | 68,261,056 | ||
| ||||
| Principal | Value | ||
1.25% 10/31/18 | $ 231,238,000 | $ 226,559,131 | ||
1.375% 7/31/18 | 115,163,000 | 114,074,364 | ||
1.5% 12/31/18 | 140,324,000 | 138,668,598 | ||
1.75% 5/15/23 | 28,620,000 | 25,749,071 | ||
1.875% 10/31/17 | 20,552,000 | 21,060,991 | ||
2.375% 2/28/15 | 41,576,000 | 42,617,021 | ||
2.375% 12/31/20 | 197,573,000 | 196,554,314 | ||
2.625% 12/31/14 (g) | 30,935,000 | 31,686,628 | ||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,225,516,194) |
| |||
U.S. Government Agency - Mortgage Securities - 21.0% | ||||
| ||||
Fannie Mae - 10.3% | ||||
1.749% 9/1/33 (h) | 471,423 | 486,356 | ||
1.79% 5/1/34 (h) | 1,045,522 | 1,078,034 | ||
1.929% 10/1/33 (h) | 38,368 | 39,891 | ||
1.949% 7/1/35 (h) | 27,122 | 28,309 | ||
2.05% 3/1/35 (h) | 11,795 | 12,156 | ||
2.056% 10/1/33 (h) | 619,753 | 646,874 | ||
2.23% 7/1/34 (h) | 42,558 | 44,741 | ||
2.303% 6/1/36 (h) | 84,646 | 89,064 | ||
2.332% 3/1/35 (h) | 45,362 | 48,108 | ||
2.421% 10/1/33 (h) | 63,385 | 66,429 | ||
2.442% 8/1/36 (h) | 1,551,937 | 1,649,417 | ||
2.5% 1/1/28 to 1/1/43 | 29,051,707 | 28,120,623 | ||
2.526% 11/1/36 (h) | 1,035,048 | 1,100,062 | ||
2.536% 6/1/42 (h) | 704,849 | 721,241 | ||
2.597% 5/1/35 (h) | 176,202 | 187,269 | ||
2.601% 7/1/35 (h) | 75,974 | 80,741 | ||
2.643% 7/1/37 (h) | 129,910 | 138,070 | ||
2.658% 2/1/36 (h) | 779,247 | 828,193 | ||
2.685% 5/1/36 (h) | 309,231 | 328,655 | ||
2.7% 9/1/36 (h) | 886,203 | 941,867 | ||
2.82% 12/1/35 (h) | 383,055 | 407,115 | ||
2.949% 11/1/40 (h) | 477,959 | 500,932 | ||
2.959% 9/1/41 (h) | 534,569 | 557,040 | ||
3% 10/1/42 to 8/1/43 | 84,224,928 | 80,055,482 | ||
3.093% 10/1/41 (h) | 262,098 | 273,361 | ||
3.223% 7/1/41 (h) | 833,281 | 876,397 | ||
3.349% 10/1/41 (h) | 474,058 | 498,292 | ||
3.5% 2/1/42 to 11/1/43 | 139,331,031 | 136,921,301 | ||
3.551% 7/1/41 (h) | 863,600 | 911,754 | ||
4% 9/1/26 to 6/1/43 | 45,257,720 | 46,834,788 | ||
4.5% 5/1/25 to 11/1/41 | 30,531,626 | 32,424,320 | ||
5% 9/1/20 to 9/1/25 | 2,215,620 | 2,367,640 | ||
5.5% 11/1/17 to 3/1/39 | 36,766,851 | 40,434,738 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae - continued | ||||
5.5% 1/1/44 (f) | $ 3,400,000 | $ 3,742,922 | ||
6% 1/1/23 to 1/1/42 | 14,643,575 | 16,279,583 | ||
6.5% 12/1/14 to 8/1/36 | 5,992,320 | 6,612,187 | ||
7% 3/1/15 to 8/1/32 | 1,121,614 | 1,278,410 | ||
7.5% 7/1/16 to 11/1/31 | 972,269 | 1,133,408 | ||
8% 1/1/30 to 5/1/30 | 42,784 | 51,296 | ||
8.5% 3/1/25 to 6/1/25 | 614 | 737 | ||
TOTAL FANNIE MAE | 408,797,803 | |||
Freddie Mac - 5.0% | ||||
2.032% 4/1/35 (h) | 736,444 | 771,032 | ||
2.114% 3/1/36 (h) | 162,164 | 169,765 | ||
2.463% 1/1/35 (h) | 117,389 | 122,870 | ||
2.5% 8/1/28 | 8,387,972 | 8,312,284 | ||
3% 8/1/42 to 3/1/43 | 22,770,237 | 21,592,246 | ||
3.01% 10/1/35 (h) | 116,750 | 124,083 | ||
3.035% 3/1/33 (h) | 7,771 | 8,233 | ||
3.136% 11/1/35 (h) | 279,370 | 296,918 | ||
3.227% 4/1/41 (h) | 520,580 | 546,696 | ||
3.242% 9/1/41 (h) | 477,919 | 500,754 | ||
3.281% 6/1/41 (h) | 636,014 | 667,699 | ||
3.46% 5/1/41 (h) | 560,038 | 590,813 | ||
3.5% 1/1/26 to 10/1/43 | 79,521,584 | 78,372,355 | ||
3.624% 6/1/41 (h) | 828,721 | 876,407 | ||
3.715% 5/1/41 (h) | 807,887 | 854,525 | ||
4% 6/1/24 to 4/1/42 | 30,049,368 | 30,994,091 | ||
4.5% 7/1/25 to 10/1/41 | 28,584,467 | 30,313,950 | ||
4.5% 1/1/44 (f) | 600,000 | 634,913 | ||
5% 1/1/35 to 9/1/40 | 16,284,468 | 17,625,958 | ||
5.5% 1/1/38 | 338,625 | 371,205 | ||
6% 4/1/32 to 8/1/37 | 2,434,955 | 2,685,141 | ||
7.5% 5/1/17 to 11/1/31 | 93,510 | 108,938 | ||
8% 7/1/17 to 5/1/27 | 5,865 | 6,815 | ||
8.5% 3/1/20 to 1/1/28 | 85,178 | 100,938 | ||
TOTAL FREDDIE MAC | 196,648,629 | |||
Ginnie Mae - 5.7% | ||||
3% 8/20/42 to 2/20/43 | 17,419,843 | 16,871,390 | ||
3.5% 1/15/41 to 7/15/43 | 23,546,920 | 23,775,429 | ||
3.5% 1/1/44 (f) | 5,700,000 | 5,747,649 | ||
3.5% 1/1/44 (f) | 11,400,000 | 11,495,297 | ||
3.5% 1/1/44 (f) | 2,500,000 | 2,520,899 | ||
3.5% 1/1/44 (f) | 5,500,000 | 5,539,531 | ||
4% 1/15/25 to 12/15/41 | 26,118,850 | 27,424,285 | ||
4% 1/1/44 (f) | 18,300,000 | 19,027,657 | ||
4.5% 5/15/39 to 4/15/41 | 41,664,432 | 44,569,445 | ||
5% 3/15/39 to 6/20/41 | 42,412,335 | 46,234,628 | ||
| ||||
| Principal Amount | Value | ||
5.5% 6/15/35 | $ 1,751,570 | $ 1,936,168 | ||
6% 3/15/29 to 9/20/38 | 14,368,859 | 16,208,080 | ||
6.5% 10/15/34 to 11/15/35 | 289,183 | 330,673 | ||
7% 1/15/28 to 7/15/32 | 2,090,507 | 2,445,750 | ||
7.5% 4/15/22 to 10/15/28 | 502,446 | 587,443 | ||
8% 2/15/17 to 9/15/30 | 36,303 | 42,622 | ||
8.5% 12/15/16 to 3/15/30 | 7,238 | 8,171 | ||
TOTAL GINNIE MAE | 224,765,117 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $842,970,332) |
| |||
Asset-Backed Securities - 1.0% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6346% 4/25/35 (h) | 234,160 | 212,321 | ||
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE2 Class M2, 0.8396% 4/25/35 (h) | 703 | 702 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.6666% 6/15/32 (e)(h) | 2,376,961 | 1,307,328 | ||
Ally Master Owner Trust: | ||||
Series 2011-1 Class A2, 2.15% 1/15/16 | 3,150,000 | 3,151,859 | ||
Series 2011-3 Class A2, 1.81% 5/15/16 | 2,760,000 | 2,772,561 | ||
Series 2012-3 Class A2, 1.21% 6/15/17 | 4,120,000 | 4,142,722 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.2146% 12/25/33 (h) | 21,168 | 19,099 | ||
Series 2004-R2 Class M3, 0.9896% 4/25/34 (h) | 31,593 | 19,173 | ||
Series 2005-R2 Class M1, 0.6146% 4/25/35 (h) | 418,405 | 412,959 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.9446% 3/25/34 (h) | 16,878 | 15,933 | ||
Series 2004-W11 Class M2, 1.2146% 11/25/34 (h) | 198,000 | 180,573 | ||
Series 2004-W7 Class M1, 0.9896% 5/25/34 (h) | 209,000 | 193,954 | ||
Series 2006-W4 Class A2C, 0.3246% 5/25/36 (h) | 433,669 | 138,160 | ||
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9896% 4/25/34 (h) | 719,916 | 682,681 | ||
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.39% 12/20/17 | 4,260,000 | 4,271,432 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3046% 12/25/36 (h) | $ 635,000 | $ 369,864 | ||
CFC LLC: | ||||
Series 2013-1A Class A, 1.65% 7/17/17 (e) | 789,077 | 788,581 | ||
Series 2013-2A Class A, 1.75% 11/15/17 (e) | 3,849,247 | 3,848,609 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.4202% 3/25/32 (MGIC Investment Corp. Insured) (h) | 11,075 | 5,628 | ||
Series 2004-3 Class M4, 1.6196% 4/25/34 (h) | 32,448 | 24,484 | ||
Series 2004-4 Class M2, 0.9596% 6/25/34 (h) | 158,747 | 137,599 | ||
Series 2004-7 Class AF5, 5.37% 1/25/35 | 1,551,172 | 1,636,310 | ||
Fannie Mae Series 2004-T5 Class AB3, 0.9942% 5/28/35 (h) | 13,702 | 12,315 | ||
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3396% 8/25/34 (h) | 102,000 | 80,583 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.9896% 3/25/34 (h) | 4,138 | 3,480 | ||
Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17 | 8,230,000 | 8,248,772 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.8996% 1/25/35 (h) | 334,000 | 271,061 | ||
Class M4, 1.1846% 1/25/35 (h) | 126,312 | 50,536 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6176% 2/25/47 (e)(h) | 829,000 | 701,740 | ||
GE Business Loan Trust Series 2003-1 Class A, 0.5966% 4/15/31 (e)(h) | 23,526 | 21,985 | ||
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (c)(e) | 138,597 | 9,652 | ||
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7146% 9/25/46 (e)(h) | 282,583 | 282,300 | ||
Home Equity Asset Trust: | ||||
Series 2003-3 Class M1, 1.4546% 8/25/33 (h) | 196,156 | 183,110 | ||
Series 2003-5 Class A2, 0.8646% 12/25/33 (h) | 11,595 | 10,707 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3546% 1/25/37 (h) | 436,000 | 220,820 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2946% 11/25/36 (h) | 434,779 | 427,570 | ||
KeyCorp Student Loan Trust Series 1999-A Class A2, 0.5759% 12/27/29 (h) | 111,095 | 108,959 | ||
| ||||
| Principal Amount | Value | ||
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4646% 5/25/37 (h) | $ 157,049 | $ 3,246 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 1.1396% 7/25/34 (h) | 26,234 | 22,908 | ||
Series 2006-FM1 Class A2B, 0.2746% 4/25/37 (h) | 217,328 | 211,537 | ||
Series 2006-OPT1 Class A1A, 0.6846% 6/25/35 (h) | 396,391 | 374,510 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.8446% 8/25/34 (h) | 20,187 | 20,104 | ||
Series 2004-NC8 Class M6, 2.0396% 9/25/34 (h) | 79,728 | 52,460 | ||
Series 2005-NC1 Class M1, 0.6046% 1/25/35 (h) | 141,000 | 132,461 | ||
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6746% 9/25/35 (h) | 503,000 | 426,109 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.5668% 3/20/11 (b)(e)(h) | 414,000 | 0 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.4146% 9/25/34 (h) | 188,000 | 156,176 | ||
Class M4, 1.6146% 9/25/34 (h) | 241,000 | 74,376 | ||
Series 2005-WCH1 Class M4, 0.9946% 1/25/36 (h) | 520,000 | 429,249 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9646% 4/25/33 (h) | 1,796 | 1,701 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9596% 3/25/35 (h) | 364,727 | 299,567 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1929% 6/15/33 (h) | 364,321 | 310,161 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.8896% 9/25/34 (h) | 18,221 | 12,937 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0246% 9/25/34 (h) | 10,148 | 9,575 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0384% 10/25/44 (e)(h) | 630,180 | 595,520 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $38,951,520) |
| |||
Collateralized Mortgage Obligations - 1.2% | ||||
| Principal Amount | Value | ||
Private Sponsor - 0.5% | ||||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7246% 1/25/35 (h) | $ 508,427 | $ 496,822 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A: | ||||
Class A1, 0.2368% 12/20/54 (e)(h) | 4,074,861 | 4,020,258 | ||
Class C2, 1.3668% 12/20/54 (e)(h) | 2,117,000 | 1,980,877 | ||
Series 2006-2: | ||||
Class A4, 0.2468% 12/20/54 (h) | 1,215,882 | 1,199,832 | ||
Class C1, 1.1068% 12/20/54 (h) | 1,885,000 | 1,740,609 | ||
Series 2006-3: | ||||
Class A3, 0.2468% 12/20/54 (h) | 585,457 | 577,729 | ||
Class A7, 0.3668% 12/20/54 (h) | 636,417 | 629,225 | ||
Class C2, 1.1668% 12/20/54 (h) | 396,000 | 365,587 | ||
Series 2006-4: | ||||
Class A4, 0.2668% 12/20/54 (h) | 1,866,479 | 1,842,029 | ||
Class B1, 0.3468% 12/20/54 (h) | 1,059,000 | 1,009,757 | ||
Class C1, 0.9268% 12/20/54 (h) | 647,000 | 596,663 | ||
Class M1, 0.5068% 12/20/54 (h) | 279,000 | 261,060 | ||
Series 2007-1: | ||||
Class 1C1, 0.7668% 12/20/54 (h) | 654,000 | 600,176 | ||
Class 1M1, 0.4668% 12/20/54 (h) | 425,000 | 399,585 | ||
Class 2A1, 0.3068% 12/20/54 (h) | 1,464,532 | 1,446,372 | ||
Class 2C1, 1.0268% 12/20/54 (h) | 298,000 | 274,816 | ||
Class 2M1, 0.6668% 12/20/54 (h) | 546,000 | 512,530 | ||
Series 2007-2: | ||||
Class 2C1, 1.024% 12/17/54 (h) | 757,000 | 698,105 | ||
Class 3A1, 0.344% 12/17/54 (h) | 261,266 | 258,340 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6921% 1/20/44 (h) | 151,584 | 150,225 | ||
| ||||
| Principal Amount | Value | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3746% 5/25/47 (h) | $ 198,998 | $ 152,731 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3346% 2/25/37 (h) | 304,342 | 269,483 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4546% 7/25/35 (h) | 528,225 | 516,691 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5195% 7/10/35 (e)(h) | 113,480 | 104,721 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2893% 7/20/34 (h) | 9,889 | 9,461 | ||
TOTAL PRIVATE SPONSOR | 20,113,684 | |||
U.S. Government Agency - 0.7% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2005-38 Class F, 0.4646% 5/25/35 (h) | 636,238 | 634,974 | ||
Series 2006-50 Class BF, 0.5646% 6/25/36 (h) | 818,569 | 821,067 | ||
Series 2006-82 Class F, 0.7346% 9/25/36 (h) | 1,142,920 | 1,141,232 | ||
Series 2007-36 Class F, 0.3946% 4/25/37 (h) | 988,783 | 983,939 | ||
Series 2011-37 Class FA, 0.6146% 5/25/41 (h) | 2,980,401 | 2,988,995 | ||
Series 2011-40 Class DF, 0.6146% 5/25/41 (h) | 2,293,249 | 2,302,923 | ||
Series 2013-62 Class FA, 0.4646% 6/25/43 (h) | 4,089,867 | 4,044,940 | ||
floater sequential payer: | ||||
Series 2010-74 Class WF, 0.7646% 7/25/34 (h) | 887,513 | 895,940 | ||
Series 2012-120 Class FE 0.4646% 2/25/39 (h) | 1,803,765 | 1,793,766 | ||
planned amortization class: | ||||
Series 1999-54 Class PH, 6.5% 11/18/29 | 714,529 | 776,426 | ||
Series 1999-57 Class PH, 6.5% 12/25/29 | 626,819 | 700,565 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 55,366 | 58,299 | ||
sequential payer Series 2004-86 Class KC, 4.5% 5/25/19 | 49,065 | 49,883 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2011-3845 Class FA, 0.5866% 4/15/41 (h) | 1,494,820 | 1,496,859 | ||
Series 3830 Class FD, 0.5266% 3/15/41 (h) | 4,246,720 | 4,253,744 | ||
floater sequential payer Series 2011-3969 Class AF, 0.6166% 10/15/33 (h) | 1,847,990 | 1,854,000 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
planned amortization class Series 2500 Class TE, 5.5% 9/15/17 | $ 1,377,669 | $ 1,455,593 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2007-35 Class SC, 0.2471% 6/16/37 (h)(j) | 73,060 | 132,793 | ||
TOTAL U.S. GOVERNMENT AGENCY | 26,385,938 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $44,212,911) |
| |||
Commercial Mortgage Securities - 7.9% | ||||
| ||||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.9053% 5/10/45 (h) | 867,261 | 891,441 | ||
Series 2006-3 Class A4, 5.889% 7/10/44 | 3,692,296 | 4,016,612 | ||
Series 2006-5 Class A2, 5.317% 9/10/47 | 5,492,157 | 5,522,216 | ||
Series 2006-4 Class A1A, 5.617% 7/10/46 (h) | 10,061,869 | 11,064,132 | ||
Series 2007-3 Class A3, 5.7965% 6/10/49 (h) | 6,100,000 | 6,117,885 | ||
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 8,305,000 | 8,988,477 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2005-4A: | ||||
Class A2, 0.5546% 1/25/36 (e)(h) | 557,023 | 470,463 | ||
Class M1, 0.6146% 1/25/36 (e)(h) | 116,548 | 64,896 | ||
Class M2, 0.6346% 1/25/36 (e)(h) | 35,160 | 18,452 | ||
Class M3, 0.6646% 1/25/36 (e)(h) | 51,112 | 26,284 | ||
Series 2007-1 Class A2, 0.4346% 3/25/37 (e)(h) | 161,994 | 110,065 | ||
Series 2007-2A: | ||||
Class A1, 0.4346% 7/25/37 (e)(h) | 161,541 | 131,236 | ||
Class A2, 0.4846% 7/25/37 (e)(h) | 151,202 | 83,429 | ||
Class M2, 0.5746% 7/25/37 (e)(h) | 84,001 | 14,333 | ||
Class M3, 0.6546% 7/25/37 (e)(h) | 84,001 | 8,450 | ||
| ||||
| Principal Amount | Value | ||
Class M4, 0.8146% 7/25/37 (e)(h) | $ 177,695 | $ 6,419 | ||
Class M5, 0.9146% 7/25/37 (e)(h) | 2,025 | 12 | ||
Series 2007-3: | ||||
Class A2, 0.4546% 7/25/37 (e)(h) | 219,618 | 145,425 | ||
Class M1, 0.4746% 7/25/37 (e)(h) | 89,969 | 42,553 | ||
Class M2, 0.5046% 7/25/37 (e)(h) | 94,583 | 27,530 | ||
Class M3, 0.5346% 7/25/37 (e)(h) | 206,699 | 47,646 | ||
Class M4, 0.6646% 7/25/37 (e)(h) | 326,658 | 66,208 | ||
Class M5, 0.7646% 7/25/37 (e)(h) | 122,266 | 17,592 | ||
Class M6, 0.9646% 7/25/37 (e)(h) | 32,716 | 2,792 | ||
Bear Stearns Commercial Mortgage Securities Trust floater Series 2007-BBA8: | ||||
Class D, 0.4166% 3/15/22 (e)(h) | 147,000 | 139,690 | ||
Class E, 0.4666% 3/15/22 (e)(h) | 763,000 | 710,200 | ||
Class F, 0.5166% 3/15/22 (e)(h) | 468,000 | 426,107 | ||
Class G, 0.5666% 3/15/22 (e)(h) | 120,000 | 106,883 | ||
Class H, 0.7166% 3/15/22 (e)(h) | 147,000 | 127,610 | ||
Class J, 0.8666% 3/15/22 (e)(h) | 147,000 | 124,245 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.4346% 5/25/36 (e)(h) | 184,188 | 176,719 | ||
Citigroup Commercial Mortgage Trust Series 2007-FL3A Class A2, 0.3066% 4/15/22 (e)(h) | 69,176 | 69,040 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 6,065,000 | 6,176,584 | ||
Class A4, 5.322% 12/11/49 | 16,150,000 | 17,684,751 | ||
COMM Mortgage Trust pass-thru certificates: | ||||
floater Series 2005-F10A Class J, 1.0166% 4/15/17 (e)(h) | 44,103 | 44,049 | ||
sequential payer Series 2006-C7 Class A1A, 5.9334% 6/10/46 (h) | 8,726,504 | 9,506,391 | ||
Series 2004-LB4A Class A5, 4.84% 10/15/37 | 7,122,000 | 7,218,083 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-C2 Class A2, 5.448% 1/15/49 (h) | 139,391 | 139,112 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-C3 Class A4, 5.8708% 6/15/39 (h) | $ 2,440,199 | $ 2,678,037 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (h) | 2,750,000 | 3,036,600 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0.6567% 9/15/34 (e)(h)(i) | 855,865 | 466 | ||
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1: | ||||
Class B, 0.3166% 2/15/22 (e)(h) | 3,470,000 | 3,427,218 | ||
Class C: | ||||
0.3366% 2/15/22 (e)(h) | 657,000 | 637,726 | ||
0.4366% 2/15/22 (e)(h) | 234,000 | 223,826 | ||
Class F, 0.4866% 2/15/22 (e)(h) | 469,000 | 447,205 | ||
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 5,341,000 | 5,784,677 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.3575% 11/5/21 (e)(h) | 3,490,000 | 3,455,878 | ||
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 | 2,090,000 | 2,295,591 | ||
Series 2006-GG7 Class A4, 6.0184% 7/10/38 (h) | 2,091,405 | 2,284,530 | ||
GS Mortgage Securities Corp. II Series 2006-GG6 Class A2, 5.506% 4/10/38 | 220,520 | 220,477 | ||
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 (h) | 920,000 | 1,008,732 | ||
Hilton U.S.A. Trust Series 2013-HLT: | ||||
Class CFX, 3.7141% 11/5/30 (e) | 890,000 | 891,865 | ||
Class DFX, 4.4065% 11/5/30 (e) | 3,995,000 | 4,000,174 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater Series 2006-FL2A: | ||||
Class E, 0.4466% 11/15/18 (e)(h) | 58,901 | 56,112 | ||
Class F, 0.4966% 11/15/18 (e)(h) | 88,352 | 83,947 | ||
Class G, 0.5266% 11/15/18 (e)(h) | 76,973 | 72,944 | ||
Class H, 0.6666% 11/15/18 (e)(h) | 58,914 | 55,241 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.6707% 12/12/44 (h) | 147,897 | 148,492 | ||
| ||||
| Principal Amount | Value | ||
Series 2006-CB16 Class A1A, 5.546% 5/12/45 | $ 5,819,253 | $ 6,378,454 | ||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | 2,810,000 | 3,041,080 | ||
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 | 9,756,173 | 10,648,990 | ||
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 870,000 | 956,043 | ||
Series 2007-CB19 Class A4, 5.8949% 2/12/49 (h) | 4,967,639 | 5,520,924 | ||
Series 2007-LD11 Class A4, 6.0023% 6/15/49 (h) | 6,664,597 | 7,412,265 | ||
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 5,416,000 | 5,940,648 | ||
Series 2006-LDP7 Class A4, 6.0562% 4/15/45 (h) | 8,035,000 | 8,771,247 | ||
Series 2007-CB19: | ||||
Class B, 5.8949% 2/12/49 (h) | 755,000 | 232,435 | ||
Class C, 5.8949% 2/12/49 (h) | 1,971,000 | 401,903 | ||
Class D, 5.8949% 2/12/49 (h) | 2,075,000 | 335,646 | ||
Series 2007-CB20 Class A1A, 5.746% 2/12/51 | 15,321,324 | 17,158,688 | ||
Series 2007-LDP10: | ||||
Class CS, 5.466% 1/15/49 (h) | 745,000 | 114,283 | ||
Class ES, 5.8951% 1/15/49 (e)(h) | 4,663,000 | 219,008 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0517% 7/15/44 (h) | 3,733,000 | 4,180,202 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-C1 Class A4, 5.424% 2/15/40 | 12,560,000 | 13,840,869 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 965,705 | 1,063,745 | ||
Series 2007-C7 Class A3, 5.866% 9/15/45 | 4,514,047 | 5,005,424 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class G, 0.5266% 9/15/21 (e)(h) | 53,583 | 53,549 | ||
Class H, 0.5666% 9/15/21 (e)(h) | 204,773 | 194,042 | ||
Merrill Lynch Mortgage Trust Series 2007-C1 Class A4, 6.0474% 6/12/50 (h) | 10,916,000 | 12,092,810 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-4 Class A3, 5.172% 12/12/49 (h) | 490,000 | 531,218 | ||
Series 2007-5 Class A4, 5.378% 8/12/48 | 2,520,000 | 2,744,091 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (h) | 3,875,000 | 4,261,996 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Merrill Lynch-CFC Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-9 Class A4, 5.7% 9/12/49 | $ 5,500,000 | $ 6,110,286 | ||
Series 2007-7 Class B, 5.9278% 6/12/50 (h) | 770,000 | 31,177 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.367% 7/15/19 (e)(h) | 113,478 | 85,392 | ||
Series 2007-XLFA: | ||||
Class D, 0.3566% 10/15/20 (e)(h) | 235,000 | 226,815 | ||
Class E, 0.4166% 10/15/20 (e)(h) | 294,000 | 282,290 | ||
Class F, 0.4666% 10/15/20 (e)(h) | 176,000 | 167,230 | ||
Class G, 0.5066% 10/15/20 (e)(h) | 218,000 | 204,957 | ||
Class H, 0.5966% 10/15/20 (e)(h) | 137,000 | 124,008 | ||
Class J, 0.7466% 10/15/20 (e)(h) | 79,407 | 32,967 | ||
sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (h) | 2,523,907 | 2,550,209 | ||
Series 2007-HQ12 Class A2, 5.7784% 4/12/49 (h) | 2,818,799 | 2,858,535 | ||
Series 2007-IQ14 Class B, 5.9114% 4/15/49 (h) | 2,175,000 | 439,850 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (e) | 3,767,430 | 4,817,790 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2006-WL7A: | ||||
Class F, 0.504% 9/15/21 (e)(h) | 506,395 | 504,812 | ||
Class G, 0.524% 9/15/21 (e)(h) | 626,000 | 594,700 | ||
Class J, 0.764% 9/15/21 (e)(h) | 139,000 | 118,150 | ||
Series 2007-WHL8 Class F, 0.6466% 6/15/20 (e)(h) | 1,046,000 | 951,974 | ||
sequential payer: | ||||
Series 2006-C28 Class A4, 5.572% 10/15/48 | 3,990,000 | 4,366,453 | ||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 3,365,799 | 3,689,625 | ||
Series 2007-C30 Class A5, 5.342% 12/15/43 | 13,901,000 | 15,295,857 | ||
Series 2007-C31 Class A4, 5.509% 4/15/47 | 6,652,000 | 7,259,461 | ||
Series 2007-C32 Class A3, 5.9201% 6/15/49 (h) | 10,240,000 | 11,340,066 | ||
| ||||
| Principal Amount | Value | ||
Series 2007-C33 Class A4, 6.1226% 2/15/51 (h) | $ 5,735,000 | $ 6,254,155 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (h) | 3,010,000 | 3,242,471 | ||
Series 2006-C26 Class A1A, 6.009% 6/15/45 (h) | 4,667,998 | 5,110,240 | ||
Series 2006-C27 Class A1A, 5.749% 7/15/45 (h) | 8,240,487 | 9,035,241 | ||
Series 2007-C31 Class C, 5.8594% 4/15/47 (h) | 2,455,000 | 2,023,271 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $311,817,729) |
| |||
Municipal Securities - 2.4% | ||||
| ||||
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (h) | 1,200,000 | 1,220,328 | ||
California Gen. Oblig.: | ||||
Series 2009, 7.35% 11/1/39 | 805,000 | 1,016,578 | ||
6.65% 3/1/22 | 4,360,000 | 5,108,132 | ||
7.3% 10/1/39 | 6,270,000 | 7,882,017 | ||
7.5% 4/1/34 | 5,055,000 | 6,449,523 | ||
7.6% 11/1/40 | 10,310,000 | 13,582,703 | ||
7.625% 3/1/40 | 1,675,000 | 2,190,682 | ||
Chicago Gen. Oblig. (Taxable Proj.): | ||||
Series 2008 B, 5.63% 1/1/22 | 880,000 | 900,319 | ||
Series 2010 C1, 7.781% 1/1/35 | 4,720,000 | 5,206,302 | ||
Series 2012 B, 5.432% 1/1/42 | 1,205,000 | 1,002,150 | ||
Illinois Gen. Oblig.: | ||||
Series 2003, 5.1% 6/1/33 | 20,780,000 | 19,303,373 | ||
Series 2010, 4.421% 1/1/15 | 2,850,000 | 2,935,586 | ||
Series 2010-1, 6.63% 2/1/35 | 3,720,000 | 3,874,975 | ||
Series 2010-3: | ||||
6.725% 4/1/35 | 5,545,000 | 5,828,738 | ||
7.35% 7/1/35 | 2,580,000 | 2,840,399 | ||
Series 2011: | ||||
5.665% 3/1/18 | 2,610,000 | 2,842,238 | ||
5.877% 3/1/19 | 7,810,000 | 8,528,676 | ||
Series 2013: | ||||
2.69% 12/1/17 | 1,225,000 | 1,219,573 | ||
3.14% 12/1/18 | 1,270,000 | 1,260,856 | ||
TOTAL MUNICIPAL SECURITIES (Cost $95,662,983) |
| |||
Foreign Government and Government Agency Obligations - 0.7% | ||||
| ||||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
3.375% 9/26/16 (e) | 4,235,000 | 4,277,350 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount | Value | ||
Banco Nacional de Desenvolvimento Economico e Social: - continued | ||||
5.75% 9/26/23 (e) | $ 3,877,000 | $ 3,833,384 | ||
Brazilian Federative Republic: | ||||
4.25% 1/7/25 | 4,015,000 | 3,824,288 | ||
5.625% 1/7/41 | 4,104,000 | 3,950,100 | ||
United Mexican States: | ||||
4% 10/2/23 | 9,396,000 | 9,302,040 | ||
4.75% 3/8/44 | 4,170,000 | 3,778,020 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $29,952,429) |
| |||
Bank Notes - 0.0% | ||||
| ||||
Fifth Third Bank 4.75% 2/1/15 | 487,000 |
|
Money Market Funds - 5.4% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.11% (a) | 211,534,304 |
| |
Cash Equivalents - 3.1% | |||
Maturity | Value | ||
Investments in repurchase agreements in a joint trading account at 0.03%, dated 12/31/13 due 1/2/14 (Collateralized by U.S. Government Obligations) # (k) | $ 121,980,203 | $ 121,980,000 | |
TOTAL INVESTMENT PORTFOLIO - 103.8% (Cost $4,090,386,656) | 4,095,567,593 | ||
NET OTHER ASSETS (LIABILITIES) - (3.8)% | (149,818,667) | ||
NET ASSETS - 100% | $ 3,945,748,926 | ||
TBA Sale Commitments | |||
| Principal |
| |
Fannie Mae | |||
5.5% 1/1/44 (Proceeds $3,734,687) | $ (3,400,000) |
|
Swaps | ||||||||
Credit Default Swaps | ||||||||
Underlying Reference | Rating (1) | Expiration Date | Clearinghouse/ | Fixed | Notional | Value (1) | Upfront Premium Received/(Paid) | Unrealized |
Sell Protection | ||||||||
Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9 | C | Dec. 2034 | Bank of America | 2.5% | $ 137,714 | $ (128,537) | $ 0 | $ (128,537) |
Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9 | C | Dec. 2034 | Credit Suisse | 2.5% | 239,234 | (223,292) | 0 | (223,292) |
Morgan Stanley ABS Capital I Inc Series 2004-HE7 Class B3 | C | Sep. 2034 | Morgan Stanley, Inc. | 5.10% | 78,601 | (34,191) | 0 | (34,191) |
Morgan Stanley ABS Capital I Inc Series 2004-NC6 Class M3 | Ca | Aug. 2034 | UBS | 1.545% | 67,245 | (22,541) | 0 | (22,541) |
TOTAL CREDIT DEFAULT SWAPS | $ (408,561) | $ 0 | $ (408,561) |
|
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. |
|
(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur. |
Legend |
(a) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(b) Non-income producing - Security is in default. |
(c) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $181,341,787 or 4.6% of net assets. |
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(g) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $1,687,017. |
(h) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(i) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(k) Includes investment made with cash collateral received from securities on loan. |
(l) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $75,020. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$121,980,000 due 1/02/14 at 0.03% | |
Commerz Markets LLC | $ 120,000,118 |
Mizuho Securities USA, Inc. | 1,979,882 |
| $ 121,980,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 413,901 |
Other Information |
The following is a summary of the inputs used, as of December 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $ 1,204,660,272 | $ - | $ 1,204,660,272 | $ - |
U.S. Government and Government Agency Obligations | 1,209,756,249 | - | 1,209,756,249 | - |
U.S. Government Agency - Mortgage Securities | 830,211,549 | - | 830,211,549 | - |
Asset-Backed Securities | 38,098,719 | - | 35,895,628 | 2,203,091 |
Collateralized Mortgage Obligations | 46,499,622 | - | 46,394,901 | 104,721 |
Commercial Mortgage Securities | 310,161,292 | - | 310,075,900 | 85,392 |
Municipal Securities | 93,193,148 | - | 93,193,148 | - |
Foreign Government and Government Agency Obligations | 28,965,182 | - | 28,965,182 | - |
Bank Notes | 507,256 | - | 507,256 | - |
Money Market Funds | 211,534,304 | 211,534,304 | - | - |
Cash Equivalents | 121,980,000 | - | 121,980,000 | - |
Total Investments in Securities: | $ 4,095,567,593 | $ 211,534,304 | $ 3,881,640,085 | $ 2,393,204 |
Derivative Instruments: | ||||
Liabilities | ||||
Swaps | $ (408,561) | $ - | $ (408,561) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (3,742,922) | $ - | $ (3,742,922) | $ - |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swaps (a) | $ - | $ (408,561) |
Total Value of Derivatives | $ - | $ (408,561) |
(a) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| December 31, 2013 | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $119,503,080 and repurchase agreements of $121,980,000) - See accompanying schedule: Unaffiliated issuers (cost $3,878,852,352) | $ 3,884,033,289 |
|
Fidelity Central Funds (cost $211,534,304) | 211,534,304 |
|
Total Investments (cost $4,090,386,656) |
| $ 4,095,567,593 |
Cash |
| 483 |
Receivable for investments sold, regular delivery | 68,928 | |
Receivable for TBA sale commitments |
| 3,734,687 |
Receivable for swaps | 1,198 | |
Interest receivable | 21,567,434 | |
Distributions receivable from Fidelity Central Funds | 19,058 | |
Other receivables | 371,897 | |
Total assets | 4,121,331,278 | |
|
|
|
Liabilities | ||
TBA sale commitments, at value | $ 3,742,922 | |
Payable for investments purchased on a delayed delivery basis | 49,054,418 | |
Payable for swaps | 9,303 | |
Bi-lateral OTC swaps, at value | 408,561 | |
Other payables and accrued expenses | 387,148 | |
Collateral on securities loaned, at value | 121,980,000 | |
Total liabilities | 175,582,352 | |
|
|
|
Net Assets | $ 3,945,748,926 | |
Net Assets consist of: |
| |
Paid in capital | $ 3,966,171,699 | |
Undistributed net investment income | 2,806,305 | |
Accumulated undistributed net realized gain (loss) on investments | (27,993,228) | |
Net unrealized appreciation (depreciation) on investments | 4,764,150 | |
Net Assets, for 38,202,418 shares outstanding | $ 3,945,748,926 | |
Net Asset Value, offering price and redemption price per share ($3,945,748,926 ÷ 38,202,418 shares) | $ 103.29 |
Statement of Operations
| Year ended December 31, 2013 | |
|
|
|
Investment Income |
|
|
Interest |
| $ 111,295,034 |
Income from Fidelity Central Funds |
| 413,901 |
Total income |
| 111,708,935 |
|
|
|
Expenses | ||
Custodian fees and expenses | $ 86,039 | |
Independent trustees' compensation | 15,844 | |
Total expenses before reductions | 101,883 | |
Expense reductions | (16,430) | 85,453 |
Net investment income (loss) | 111,623,482 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | (29,537,209) | |
Swaps | (178,495) |
|
Total net realized gain (loss) |
| (29,715,704) |
Change in net unrealized appreciation (depreciation) on: Investment securities | (144,034,881) | |
Swaps | 207,751 | |
Delayed delivery commitments | 31,105 |
|
Total change in net unrealized appreciation (depreciation) |
| (143,796,025) |
Net gain (loss) | (173,511,729) | |
Net increase (decrease) in net assets resulting from operations | $ (61,888,247) |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 111,623,482 | $ 117,614,823 |
Net realized gain (loss) | (29,715,704) | 120,265,599 |
Change in net unrealized appreciation (depreciation) | (143,796,025) | 8,093,329 |
Net increase (decrease) in net assets resulting from operations | (61,888,247) | 245,973,751 |
Distributions to shareholders from net investment income | (111,480,985) | (114,968,209) |
Distributions to shareholders from net realized gain | (47,197,834) | (85,937,583) |
Total distributions | (158,678,819) | (200,905,792) |
Share transactions | 138,326,373 | 291,928,653 |
Reinvestment of distributions | 158,678,818 | 201,241,629 |
Cost of shares redeemed | (383,113,369) | (76,195,187) |
Net increase (decrease) in net assets resulting from share transactions | (86,108,178) | 416,975,095 |
Total increase (decrease) in net assets | (306,675,244) | 462,043,054 |
|
|
|
Net Assets | ||
Beginning of period | 4,252,424,170 | 3,790,381,116 |
End of period (including undistributed net investment income of $2,806,305 and undistributed net investment income of $4,906,141, respectively) | $ 3,945,748,926 | $ 4,252,424,170 |
Other Information Shares | ||
Sold | 1,312,355 | 2,692,517 |
Issued in reinvestment of distributions | 1,501,757 | 1,838,710 |
Redeemed | (3,663,162) | (694,031) |
Net increase (decrease) | (849,050) | 3,837,196 |
Financial Highlights
Years ended December 31, | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 108.89 | $ 107.64 | $ 105.18 | $ 104.52 | $ 94.78 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) B | 2.829 | 3.111 | 3.817 | 3.943 | 4.762 |
Net realized and unrealized gain (loss) | (4.398) | 3.442 | 4.385 | 4.424 | 9.818 |
Total from investment operations | (1.569) | 6.553 | 8.202 | 8.367 | 14.580 |
Distributions from net investment income | (2.826) | (3.056) | (3.851) | (3.947) | (4.580) |
Distributions from net realized gain | (1.205) | (2.247) | (1.891) | (3.760) | (.260) |
Total distributions | (4.031) | (5.303) | (5.742) | (7.707) | (4.840) |
Net asset value, end of period | $ 103.29 | $ 108.89 | $ 107.64 | $ 105.18 | $ 104.52 |
Total Return A | (1.46)% | 6.16% | 7.96% | 8.12% | 15.71% |
Ratios to Average Net Assets C, F |
|
|
|
|
|
Expenses before reductions E | -% | -% | -% | -% | -% |
Expenses net of fee waivers, if any E | -% | -% | -% | -% | -% |
Expenses net of all reductions E | -% | -% | -% | -% | -% |
Net investment income (loss) | 2.68% | 2.84% | 3.57% | 3.65% | 4.75% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 3,945,749 | $ 4,252,424 | $ 3,790,381 | $ 3,758,091 | $ 3,957,226 |
Portfolio turnover rate D | 333% | 291% | 302% | 230% | 141% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Amount represents less than .01%.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended December 31, 2013
1. Organization.
Fidelity VIP Investment Grade Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company (FMR), or its affiliates (the Investing Funds).
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations, are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar
Annual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds , including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of December 31, 2013, is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Interest income and distributions from other Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of December 31, 2013, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, market discount, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 86,949,210 |
Gross unrealized depreciation | (78,613,643) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 8,335,567 |
|
|
Tax Cost | $ 4,087,232,026 |
The tax-based components of distributable earnings as of period end were as follows:
Capital loss carryforward | $ (27,535,971) |
Net unrealized appreciation (depreciation) | $ 7,918,605 |
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration |
|
Short-term | $ (27,535,971) |
The tax character of distributions paid was as follows:
| December 31, 2013 | December 31, 2012 |
Ordinary Income | $ 114,536,115 | $ 191,972,771 |
Long-term Capital Gains | 44,142,704 | 8,933,021 |
Total | $ 158,678,819 | $ 200,905,792 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Annual Report
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized | Change in Net |
Credit Risk |
|
|
Swaps (a) | $ (178,495) | $ 207,751 |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Annual Report
Notes to Financial Statements - continued
4. Derivative Instruments - continued
Swaps - continued
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $753,123,801 and $324,043,148, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (the investment adviser), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with the investment adviser, FMR pays the investment adviser a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
7. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its
Annual Report
7. Security Lending - continued
obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $9,224.
8. Expense Reductions.
The investment adviser has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $15,844. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $586.
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund according to the following schedule.
Fund | Ownership % |
VIP Asset Manager Portfolio | 12.76% |
VIP Asset Manager: Growth Portfolio | .98% |
VIP Balanced Portfolio | 12.70% |
VIP Investment Grade Bond Portfolio | 73.56% |
10. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Garrison Street Trust and Shareholders of Fidelity VIP Investment Grade Central Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity VIP Investment Grade Central Fund (the Fund), a fund of Fidelity Garrison Street Trust, including the schedule of investments, as of December 31, 2013, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity VIP Investment Grade Central Fund as of December 31, 2013, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 19, 2014
Annual Report
Trustees and Officers
The Trustees and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Elizabeth S. Acton and James C. Curvey, each of the Trustees oversees 223 funds. Ms. Acton oversees 205 funds. Mr. Curvey oversees 396 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund (Independent Trustee), shall retire not later than the last day of the month in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Albert R. Gamper, Jr. serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
James C. Curvey (1935) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Curvey also serves as Trustee of other Fidelity funds. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
Abigail P. Johnson (1961) | |
Year of Election or Appointment: 2009 Trustee Chairman of the Board of Trustees | |
| Ms. Johnson also serves as Trustee of other Fidelity funds. Ms. Johnson serves as President of FMR LLC (2013-present), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (2011-present), Chairman and Director of FMR (2011-present), and the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Elizabeth S. Acton (1951) | |
Year of Election or Appointment: 2013 Trustee | |
| Ms. Acton also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). |
Albert R. Gamper, Jr. (1942) | |
Year of Election or Appointment: 2006 Trustee Chairman of the Independent Trustees | |
| Mr. Gamper also serves as Trustee of other Fidelity funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Barnabas Health Care System. Previously, Mr. Gamper served as Vice Chairman of the Independent Trustees of certain Fidelity funds (2011-2012) and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (1951) | |
Year of Election or Appointment: 2010 Trustee | |
| Mr. Gartland also serves as Trustee of other Fidelity funds. Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (1947) | |
Year of Election or Appointment: 2008 Trustee | |
| Mr. Johnson also serves as Trustee of other Fidelity funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson. |
Michael E. Kenneally (1954) | |
Year of Election or Appointment: 2009 Trustee | |
| Mr. Kenneally also serves as Trustee of other Fidelity funds. Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity funds before joining the Board of Trustees (2008-2009). Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (1940) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Keyes also serves as Trustee of other Fidelity funds. Mr. Keyes serves as a member of the Board and Non-Executive Chairman of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002). Previously, Mr. Keyes served as a member of the Board of Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-2013). Prior to his retirement, Mr. Keyes served as Chairman (1993-2002) and Chief Executive Officer (1988-2002) of Johnson Controls (automotive, building, and energy) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (1946) | |
Year of Election or Appointment: 2001 Trustee Vice Chairman of the Independent Trustees | |
| Ms. Knowles also serves as Trustee of other Fidelity funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). |
Kenneth L. Wolfe (1939) | |
Year of Election or Appointment: 2005 Trustee | |
| Mr. Wolfe also serves as Trustee of other Fidelity funds. Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). Mr. Wolfe previously served as Chairman of the Independent Trustees of other Fidelity funds (2008-2012). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Officers:
Correspondence intended for each officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation | |
Elizabeth Paige Baumann (1968) | |
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer | |
| Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Robert P. Brown (1963) | |
Year of Election or Appointment: 2012 Vice President of Fidelity's Bond Funds | |
| Mr. Brown also serves as Vice President of other funds. Mr. Brown serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (2010-present), President, Bond Group of FMR (2011-present), Director and Managing Director, Research of Fidelity Management & Research (U.K.) Inc. (2008-present), and is an employee of Fidelity Investments. Previously, Mr. Brown served as President, Money Market Group of FMR (2010-2011) and Vice President of Fidelity's Money Market Funds (2010-2012). |
Marc Bryant (1966) | |
Year of Election or Appointment: 2013 Assistant Secretary | |
| Mr. Bryant also serves as an officer of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC. Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006). |
Jonathan Davis (1968) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010). |
Adrien E. Deberghes (1967) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Stephanie J. Dorsey (1969) | |
Year of Election or Appointment: 2013 President and Treasurer | |
| Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Scott C. Goebel (1968) | |
Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) | |
| Mr. Goebel serves as Secretary and CLO of other funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Secretary and CLO of other Fidelity funds (2008-2013), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). Mr. Goebel has been employed by FMR LLC or an affiliate since 2001. |
Chris Maher (1972) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of FMR's Program Management Group (2010-2013), and Vice President of Valuation Oversight (2008-2010). |
Charles S. Morrison (1960) | |
Year of Election or Appointment: 2012 Vice President | |
| Mr. Morrison also serves as Vice President of other funds. He serves as President, Fixed Income and is an employee of Fidelity Investments. Previously, Mr. Morrison served as Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Fixed Income Division. |
Christine Reynolds (1958) | |
Year of Election or Appointment: 2008 Chief Financial Officer | |
| Ms. Reynolds also serves as Chief Financial Officer of other funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Kenneth B. Robins (1969) | |
Year of Election or Appointment: 2009 Assistant Treasurer | |
| Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles. |
Gary W. Ryan (1958) | |
Year of Election or Appointment: 2005 Assistant Treasurer | |
| Mr. Ryan also serves as Assistant Treasurer of other funds. Mr. Ryan is an employee of Fidelity Investments and has served in other fund officer roles. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Stephen Sadoski (1971) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009). |
Stacie M. Smith (1974) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009). |
Renee Stagnone (1975) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments. |
Michael H. Whitaker (1967) | |
Year of Election or Appointment: 2008 Chief Compliance Officer | |
| Mr. Whitaker also serves as Chief Compliance Officer of other funds. Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (1957) | |
Year of Election or Appointment: 2011 Deputy Treasurer | |
| Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments. Previously, Mr. Zambello served as Vice President of FMR's Program Management Group (2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
VIP Investment Grade Central Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Investments Money Management, Inc. (FIMM) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees, Operations, Audit, Fair Valuation, and Governance and Nominating, each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and, among other matters, considers matters specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.
At its September 2013 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of FIMM and the sub-advisers (together, the Investment Advisers), and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board believes that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading and risk management capabilities and resources, which are an integral part of the investment management process.
Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts, as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other Fidelity funds and accounts and ultimately to enhance the performance of those funds and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered that while the fund does not pay a management fee, Fidelity Management & Research Company (FMR) pays a management fee on behalf of the fund and receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the management fee paid on behalf of the fund and the fund's total expense ratio were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Annual Report
Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of each fund that invests in this fund.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities, economies of scale cannot be realized by the fund.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's fee structures, including the group fee structure and definition of group assets, and the rationale for recommending different fees among different categories of funds and classes; (vi) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vii) the methodology with respect to competitive fund data and peer group classifications; (viii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes, and the impact of the increased use of omnibus accounts; and (ix) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain funds and classes or to achieve further economies of scale.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Annual Report
Item 2. Code of Ethics
As of the end of the period, December 31, 2013, Fidelity Garrison Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the trust has determined that James H. Keyes is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Keyes is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") in each of the last two fiscal years for services rendered to VIP Investment Grade Central Fund (the "Fund"):
Services Billed by Deloitte Entities
December 31, 2013 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
VIP Investment Grade Central Fund | $194,000 | $- | $6,400 | $500 |
December 31, 2012 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
VIP Investment Grade Central Fund | $201,000 | $- | $6,100 | $400 |
A Amounts may reflect rounding.
The following table presents fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund and that are rendered on behalf of Fidelity Management & Research Company ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund ("Fund Service Providers"):
Services Billed by Deloitte Entities
| December 31, 2013A | December 31, 2012A |
Audit-Related Fees | $765,000 | $910,000 |
Tax Fees | $- | $- |
All Other Fees | $795,000 | $955,000 |
A Amounts may reflect rounding.
"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund are as follows:
Billed By | December 31, 2013 A | December 31, 2012 A |
Deloitte Entities | $1,685,000 | $1,900,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the Fund, taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund and its related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's last two fiscal years relating to services provided to (i) the Fund or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Garrison Street Trust
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
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Date: | February 26, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
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Date: | February 26, 2014 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
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Date: | February 26, 2014 |